Estimated GAAP net loss of $0.52 per share for the quarter ended December 31, 2018, including an estimated $0.80 per share of net realized and unrealized losses on RMBS and derivative instruments

Estimated (6.3)% total return on equity for the quarter, or (25.4)% annualized

Estimated book value, net loss and return on equity amounts are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm

RMBS Portfolio Characteristics as of December 31, 2018

Repurchased 1,743,445 shares through stock repurchase plan in December 2018

Next Dividend Announcement Expected February 13, 2019

VERO BEACH, Fla., Jan. 10, 2019 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of January 2019. The dividend of $0.08 per share will be paid February 8, 2019 to holders of record on January 31, 2019, with an ex-dividend date of January 30, 2019. The Company plans on announcing its next dividend after the Board’s meeting on February 13, 2019.

The Company intends to make regular monthly cash distributions to its stockholders. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

As of January 9, 2019, the Company had 48,662,448 shares outstanding. At December 31, 2018, the Company had 49,132,423 shares outstanding. At September 30, 2018, the Company had 52,039,168 shares outstanding.

Estimated December 31, 2018 Book Value Per Share

The Company’s estimated book value per share as of December 31, 2018 was $6.84. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At December 31, 2018, the Company's preliminary estimated total stockholders' equity was approximately $336.1 million with 49,132,423 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Net Income Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments

The Company estimates it generated a net loss per share of $0.52, which includes $0.80 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended December 31, 2018. These amounts compare to total dividends declared during the quarter of $0.24 per share. Net income per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net income. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.

Estimated Return on Equity

The Company’s estimated total return on equity for the quarter ended December 31, 2018 was (6.3)%, or (25.4)% on an annualized basis. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $(0.48) per share, comprised of dividends per share of $0.24 and a decrease in book value per share of $0.72 from September 30, 2018.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of December 31, 2018 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended December 31, 2018, are subject to review by the Company’s independent registered public accounting firm.

RMBS Valuation Characteristics

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test Results

Repurchase Agreement Exposure by Counterparty

RMBS Risk Measures

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2017.

RMBS Valuation Characteristics

($ in thousands)

Realized

Realized

Dec 2018

Oct - Dec

Modeled

Modeled

Net

Weighted

CPR

2018 CPR

Interest

Interest

%

Weighted

Average

(1-Month)

(3-Month)

Rate

Rate

Current

Fair

of

Current

Average

Maturity

(Reported

(Reported

Sensitivity

Sensitivity

Type

Face

Value(1)

Portfolio

Price

Coupon

GWAC

Age

(Months)

in Jan)

in Jan)

(-50 BPS)(2)

(+50 BPS)(2)

ARM RMBS

ARM RMBS

$

1,347

$

1,437

0.05

%

$

106.73

4.75

%

5.19

%

170

190

0.05

%

0.06

%

$

11

$

(9

)

Total ARM RMBS

1,347

1,437

0.05

%

106.73

4.75

%

5.19

%

170

190

0.05

%

0.06

%

11

(9

)

Fixed Rate RMBS

Fixed Rate CMO

717,084

741,927

24.61

%

103.46

4.27

%

4.61

%

10

348

5.80

%

6.66

%

2,740

(6,071

)

Fixed Rate CMO Total

717,084

741,927

24.61

%

103.46

4.27

%

4.61

%

10

348

5.80

%

6.66

%

2,740

(6,071

)

15yr 3.5

2,708

2,752

0.09

%

101.62

3.50

%

3.83

%

63

116

0.15

%

12.58

%

51

(51

)

15yr 4.0

745,906

769,042

25.51

%

103.10

4.00

%

4.55

%

6

172

5.42

%

6.21

%

13,278

(14,267

)

15yr Total

748,614

771,794

25.60

%

103.10

4.00

%

4.54

%

6

171

5.40

%

6.24

%

13,329

(14,318

)

20yr 4.0

91,296

94,163

3.13

%

103.14

4.00

%

4.48

%

17

219

10.13

%

6.37

%

2,064

(2,137

)

20yr 4.5

18,409

19,142

0.63

%

103.98

4.50

%

5.13

%

9

230

0.53

%

4.80

%

254

(314

)

20yr Total

109,705

113,305

3.76

%

103.28

4.08

%

4.59

%

16

221

8.52

%

6.10

%

2,318

(2,451

)

30yr 4.0

257,138

263,390

8.74

%

102.43

4.00

%

4.49

%

24

333

5.94

%

4.85

%

5,742

(6,792

)

30yr 4.5

773,337

805,545

26.72

%

104.16

4.50

%

4.93

%

11

348

6.03

%

7.83

%

10,647

(14,235

)

30yr 5.0

166,038

176,940

5.87

%

106.57

5.00

%

5.50

%

10

348

9.43

%

7.97

%

2,379

(2,996

)

30yr Total

1,196,513

1,245,875

41.33

%

104.13

4.46

%

4.91

%

14

345

6.48

%

7.06

%

18,768

(24,023

)

Total Fixed Rate RMBS

2,771,916

2,872,901

95.30

%

103.64

4.27

%

4.72

%

11

294

6.09

%

6.70

%

37,155

(46,863

)

Total Pass Through RMBS

2,773,263

2,874,338

95.35

%

103.64

4.27

%

4.72

%

11

294

6.09

%

6.69

%

37,166

(46,872

)

Structured RMBS

Interest-Only Securities

772,857

116,415

3.86

%

15.06

3.74

%

4.33

%

58

254

7.69

%

8.32

%

(14,440

)

11,747

Inverse Interest-Only Securities

225,643

23,751

0.79

%

10.53

2.65

%

4.86

%

54

297

10.81

%

10.43

%

2,292

(2,918

)

Total Structured RMBS

998,500

140,166

4.65

%

14.04

3.49

%

4.45

%

57

264

8.39

%

9.02

%

(12,148

)

8,829

Total Mortgage Assets

$

3,771,763

$

3,014,504

100.0

%

4.06

%

4.65

%

23

286

6.70

%

7.21

%

$

25,018

$

(38,043

)

Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Hedge

Balance

End

(-50 BPS)(1)

(+50 BPS)(1)

Eurodollar Futures

$

(1,725,000

)

Mar-2021

$

(17,250

)

$

17,250

Swaps

(1,260,000

)

Oct-2020

(12,958

)

12,958

5-Year Treasury Future

(165,000

)

May-2023(3)

(3,477

)

4,895

TBA

(250,000

)

Jan-2018

(6,103

)

7,207

Swaptions

(700,000

)

Jan-2028

(120

)

5,266

Hedge Total

$

(4,100,000

)

$

(39,908

)

$

47,576

Rate Shock Grand Total

$

(14,890

)

$

9,533

(1) Amounts in the tables above exclude assets with a fair value of approximately $220.3 million sold in December 2018, which settle in January 2019.

(3) Five year treasury futures contracts were valued at prices of $114.69 at December 31, 2018. The notional contract value of the short position was $189.2 million.

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

($ in thousands)

Percentage

Percentage

Fair

of

Fair

of

Asset Category

Value(1)

Portfolio

Asset Category

Value(1)

Portfolio

As of December 31, 2018

As of December 31, 2018

Fannie Mae

$

1,527,055

50.7

%

Non-Whole Pool Assets

$

1,063,874

35.3

%

Freddie Mac

1,483,406

49.2

%

Whole Pool Assets

1,950,630

64.7

%

Ginnie Mae

4,043

0.1

%

Total Mortgage Assets

$

3,014,504

100.0

%

Total Mortgage Assets

$

3,014,504

100.0

%

(1) Amounts in the tables above exclude assets with a fair value of approximately $220.3 million sold in December 2018, which settle in January 2019.

Borrowings By Counterparty

($ in thousands)

Weighted

Weighted

% of

Average

Average

Total

Total

Repo

Maturity

Longest

As of December 31, 2018

Borrowings(1)

Debt

Rate

in Days

Maturity

RBC Capital Markets, LLC

$

441,529

14.5

%

2.62

%

25

1/30/2019

Mirae Asset Securities (USA) Inc.

343,137

11.3

%

2.53

%

41

3/7/2019

J.P. Morgan Securities LLC

335,410

11.1

%

2.58

%

12

1/18/2019

ING Financial Markets LLC

325,585

10.8

%

2.61

%

20

2/12/2019

Wells Fargo Bank, N.A.

264,044

8.7

%

2.70

%

35

2/11/2019

Cantor Fitzgerald & Co

250,738

8.3

%

2.56

%

45

3/7/2019

Mitsubishi UFJ Securities (USA), Inc

205,392

6.8

%

2.55

%

47

2/19/2019

ABN AMRO Bank N.V.

156,037

5.2

%

2.59

%

31

2/4/2019

ICBC Financial Services LLC

137,667

4.6

%

2.68

%

62

3/15/2019

Citigroup Global Markets Inc

112,817

3.7

%

2.61

%

27

2/11/2019

FHLB-Cincinnati

97,280

3.2

%

3.92

%

2

1/2/2019

South Street Securities, LLC

82,833

2.7

%

2.57

%

30

2/14/2019

Natixis, New York Branch

57,709

1.9

%

2.80

%

16

1/18/2019

Lucid Cash Fund USG LLC

50,814

1.7

%

2.71

%

17

1/17/2019

ASL Capital Markets Inc.

38,906

1.3

%

2.55

%

44

2/13/2019

Bank of Montreal

35,481

1.2

%

2.70

%

14

1/14/2019

Guggenheim Securities, LLC

26,395

0.9

%

2.66

%

60

3/1/2019

Lucid Prime Fund, LLC

21,424

0.7

%

2.74

%

17

1/17/2019

Merrill Lynch, Pierce, Fenner & Smith

18,061

0.6

%

3.06

%

28

1/28/2019

ED&F Man Capital Markets Inc

13,751

0.5

%

2.60

%

38

2/7/2019

J.V.B. Financial Group, LLC

10,042

0.3

%

2.54

%

46

2/15/2019

Total Borrowings

$

3,025,052

100.0

%

2.65

%

31

3/15/2019

(1) In December 2018, the Company sold assets with a fair value of approximately $220.3 million, which settle in January 2019 that collateralize approximately $213.5 million of repurchase agreements included in the table above.

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